Is it possible to save depth values and rendered image in different formats?
The Composite output node in the compositor will use the File Format and Color Management set in the properties window.
If you add a file output node it will allow you to save the image as an additional file with a different format or in a different path.
Set the file type to OpenEXR multilayer. Whenever you save as EXR the file will bypass the color management transforms, and remain linear float. You can add inputs/layers using the + Add Input button for depth or whatever other passes you need.